Using Pro 3.5.1
When you open a Browsing Window, such as the Change Data Source window, and immediately click on Project Folders or Databases, Pro will continue to navigate to the location it wants to (previously visited, default, etc) and disregard your input.
Once it has completed its navigation, you can click on the item again and continue to where you wanted to go.

Please change Pro's behaviour so that it will stop going off on a potential tangent and accept your input when you give it.
In some cases a previous location could be on a slow link and having to wait for Pro to finish before you can give it input is inefficient.